Making Birth–Death Processes from Backward Fokker–Planck Equations for Computing Expectations in Langevin Systems
利用后向Fokker-Planck方程计算Langevin系统期望值的生灭过程
作者: Jun Ohkubo
刊名: Journal of the Physical Society of Japan, 2020, Vol.89 (4)
来源数据库: The physical Society of Japan
DOI: 10.7566/JPSJ.89.044004
原始语种摘要: A method to direct evaluation of expectations for Langevin systems (stochastic differential equations) is proposed. The method is based on a birth–death process which is derived using combinations of dummy variables and Itô formula. As a pedagogical example, a double-well system and expectations for sigmoid-type functions are used. It is shown that the proposed method has some merits from computational point of view; only one time-integration for the birth–death process gives expectations for various initial conditions in the original Langevin systems. Furthermore, the same time-integration result is available for computing various center positions of the sigmoid-type functions.
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关键词翻译
关键词翻译
  • expectations 期待的事物
  • dummy 假的
  • systems 系统科学与软件
  • proposed 建议的
  • stochastic 随机的
  • process 过程
  • sigmoid s状的
  • integration 集成
  • method 方法
  • center 中心